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Circular on the Listing and Trading of INE Crude Oil Option Contracts

 The Shanghai International Energy Exchange (INE) has recently received the approval of the China Securities Regulatory Commission (CSRC) on the listing of crude oil option contracts. In accordance with the INE rules, this notice is hereby issued to inform you of the following matters:

1. Listing Date
Crude oil options will be listed for trading on June 21, 2021 (Monday). Call auction takes place from 8:55 a.m. to 9:00 a.m., followed by market open at 9:00 a.m.
2. Trading Hours
9:00–10:15 a.m., 10:30–11:30 a.m., and 1:30 p.m.–3:00 p.m. Monday through Friday, plus continuous trading hours from 9:00 p.m. to 2:30 a.m. (next day) Monday through Friday (same as the underlying futures contracts).
There is no continuous trading session on the business day before any national holiday (excluding weekends).
3. Listed Contracts and Adjustment to the Last Trading Day
Options on the crude oil futures contracts SC2109 and SC2110 will be listed for trading on the first trading day. The open interest threshold of the underlying futures contract for purposes of listing new option contract is 10,000 lots (single-counted).
The last trading day for options on SC2110 futures is changed to September 3, 2021 (Friday), that for options on SC2201 to December 7, 2021 (Tuesday), and that for options on SC2202 to January 5, 2022 (Wednesday).
4. Listing Price
The listing price will be published by INE on the trading day preceding the listing day.
The listing price is calculated with the binomial model. The risk-free interest rate is the People’s Bank of China’s benchmark rate for one-year term deposit. The volatility of option contracts of all months is the 90-day historical volatility of the most active of the underlying futures contracts.
5. Maximum Order Size
100 lots.
6. Exercise and Fulfillment
The INE crude oil option is American style. Clients can submit exercise or abandonment requests during the hours through the channels listed below:
 




7. Position Limit
Option positions and futures positions are separately tracked for purposes of position limit.
For any Non-FF Member, OSNBP, or Client, its aggregate positions in all long calls and short puts in option contracts of a particular month, and aggregate positions in all long puts and short calls in option contracts of a particular month, must in each case not exceed the position listed below. Accounts linked by actual control relationship are treated as a single account for purposes of position limit.



 

8. Hedging Quota
Any hedging quota obtained may be used on futures contracts, option contracts, or a combination of both.
9. Fees
Trading fees: RMB 10/lot, currently waived for closing intraday positions. Exercise (fulfillment) fees are RMB 10/lot; pre-exercise options netting fees are RMB 10/lot; post-exercise futures netting fees are currently waived; fees for automatic netting for market makers are currently waived.
10. Request for Quote
Non-FF Members, OSNBPs, and Clients may request for quote (“RFQ”) on all listed option contracts from market makers. RFQ should indicate the contract code, and there should be a minimum 60-second interval between two RFQs for the same option contract. No RFQ is accepted for an option contract when the best bid-ask spread is less than or equal to the bid-ask spread listed below.



 


All market entities are advised to make the necessary preparations for the listing of crude oil options and strengthen risk management to ensure the smooth functioning of the market.

For China derivatives market access and more market information please contact sherry_ustc@163.com

For more China derivatives market news please visit FangQuant

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